Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets

We thank Nick Barberis, Jennifer Conrad, Gautam Kaul, Jegadeesh Narasimhan, Lu Zhang, and seminar participants at the University of Michigan for helpful comments. We also thank Soohun Kim for invaluable research assistance. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.